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John Wiley


Publisher

Palgrave & MacMillan

Asset and Liability Management Handbook

Released: March 2011 Hardback
Price: £125.00 (Launch discount £105.00) + £5.00 P&P (UK)
ISBN: 978-0-230-27779-3


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In recent years there has been a considerable upsurge of interest in quantitative methods applied to Asset and Liability Management problems. Progressive acceptance of these quantitative methods have led to products and services being offered by a number of technology companies specialising in this niche yet growing field of knowledge based modelling services for the finance industry. The focus of the Handbook is on quantitative methods for Asset and Liability Management applied to three areas: pension funds, insurance companies and banks. Current market developments and continuing evolution of regulatory requirements have created a growing market place for modelling and software services for these sectors. For instance in the banking sector the Basel II accord is evolving; similarly Solvency II for insurance companies and FRS regulations by FSA on the conduct of pension schemes are impacting the compliance requirements in these sectors which are best addressed by model based approaches.


The Handbook is a collection of state of the learned articles on the topic of quantitative decision models for Asset and Liability Management for different sectors; in particular the impact of new regulations and risk exposures will be carefully examined.

The Handbook will be of interest to key decision makers, in particular:
  • Pension Fund Trustees
  • Finance Directors
  • CEOs
  • Pension Fund Managers
  • Pension Fund Investment Committee Members
  • Consultants
  • Quantitative Fund Managers
  • Risk Managers
  • Actuaries
  • Balance Sheet Managers
  • Portfolio Managers
  • Liability Managers
  • Asset Managers
  • Investment Managers
  • Treasurers
  • Capital Managers
  • Product Managers
  • Quantitative Analysts
  • Research Departments
  • Industry focussed Academics
The novel approach of the Asset and Liability Management Handbook is that it contains state of the art models for three application areas: pension funds, insurance companies and banks.


Background and Overview of ALM Models

Chapter 1  A review chapter on
ALM Models for Banks, Insurance Companies and Pension Funds
- Regulations affecting these ALM application areas

Professor Gautam Mitra             CEO OptiRisk Systems Director CARISMA
Dr. Katharina Schwaiger OptiRisk Systems KTP Postdoctoral Associate, Brunel University

Part I – ALM Models applied to Banks

Chapter 2 Bank Asset-Liability and Liquidity Risk Management
Dr. Moorad Choudhry                 Europe Arab Bank

Chapter 3 A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management
Dr. Sarp Kaya Acar                    Fraunhofer Institute for Industrial Mathematical ITWM
Professor Ralf Korn                    Fraunhofer Institute for Industrial Mathematical ITWM
Dr. Kalina Natcheva-Acar           Fraunhofer Institute for Industrial Mathematical ITWM
Dr. Joerg Wenzel                       Fraunhofer Institute for Industrial Mathematical ITWM

Part II – ALM Models applied to Insurance Companies

Chapter 4 Long-Term Interest Rates and Consol Bond Valuation
Dr. Elena Medova                      Senior Research Associate, Cambridge University,
Director, Cambridge System Associates
Professor Michael Dempster       Professor Emeritus, Cambridge University,
Director Cambridge System Associates
Dr. Michael Villaverde                Principal, BlueCrest Capital Management

Chapter 5 Asset-Liability Management Modelling with Risk Control by Stochastic Dominance
Xi Yang                                     PhD Candidate, University of Edinburgh
Professor Jacek Gondzio            University of Edinburgh
Dr. Andreas Grothey                  Lecturer, University of Edinburgh

Part III – ALM Models applied to Pension Funds

Chapter 6 401k Pension Plans in the USA
Professor Frank Sortino Emeritus Professor, San Francisco State University
                                                Director Pension Research Institute

Chapter 7 Pensions, Covenants and Insurance
Con Keating                              Head of Research, BrightonRock Group

Chapter 8 Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand
Siti Sheikh Hussin                     PhD Candidate, CARISMA, Brunel University
Dr. Diana Roman                       Lecturer, CARISMA, Brunel University
Professor Gautam Mitra             CEO OptiRisk Systems,
Director CARISMA
W Kamaruzaman Wan Ahmad    General Manager, EPF Malaysia

Chapter 9 Dynamic Risk Management
Dr. Stuart Jarvis                        Managing Director, BlackRock

Chapter 10 Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers
Professor David Blake                Cass Business School, City University
Professor Andrew Cairns            Heriot-Watt University
Professor Kevin Dowd                Nottingham University Business School

Chapter 11 Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans
Professor John M. Mulvey          Professor, Princeton University
Woo Chang Kim                        Assistant Professor, Korea Advanced Institute of Science and Technology
Yi Ma                                        PhD Candidate, Princeton University

Chapter 12 A robust optimization approach to pension fund management
Professor Garud Iyengar Associate Professor, Columbia University
Professor Alfred Ka Chun Ma      Assistant Professor, Chinese University of Hong Kong

 

Chapter 13 Alternative decision models for liability determined investment
Dr. Katharina Schwaiger OptiRisk Systems
                                                KTP Postdoctoral Associate, Brunel University
Dr. Cormac Lucas                      Lecturer, CARISMA, Brunel University

Professor Gautam Mitra             CEO OptiRisk Systems  
Director CARISMA 

Chapter 14 A Liability-Relative Drawdown Approach to Pension Asset Liability Management
Dr. Arjan Berkelaar                     Head of asset allocation and risk management,
Kaust Investment Management Company
Dr. Roy Kouwenberg                  Chair PhD Program, Mahidol University and Erasmus University, Rotterdam

Part IV – ALM Models applied to other areas

Chapter 15 Individual Asset and Liability Management
Dr. Elena Medova                      Senior Research Associate, Cambridge University,
Director, Cambridge System Associates

Chapter 16 The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
Dan diBartolomeo CFA               CEO Northfield Information Services Inc.

Chapter 17 Asset Liability Management in Private Wealth Management
Professor Noel Amenc               EDHEC
Professor Lionel Martellini           EDHEC
Dr. Vincent Milhau                     EDHEC
Dr. Volker Ziemann                    EDHEC

Chapter 18 Back Testing Short-term Treasury Management Strategies, Based on Multi-stage Stochastic Programming
Dr. Robert Ferstl                        Postdoctoral Associate, University of Regensburg
Dr. Alexander Weissensteiner     Research Assistant, University of Innsbruck

Part V – Directory of ALM service providers

-  One page per provider: Company, Locations, Summary services and products

OptiRisk Systems
Northfield Information Services
Cambridge System Associates
BrightonRock
Chartered Institute of Securities and Investment
Redington Partners
ORFIVAL
Cardano
Axioma
Ehrenteich Consulting
Fraunhofer

D-fine
Credit Suisse
Barrie and Hibbert


 

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